Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 8 7 7
Score 3.95 2.65 3.65
Market Cap (Millions USD) 9880.76 9598.79 9274.73
Predicted Beta 1.95 1.94 1.89
Idiosyncratic Volatility 0.92 0.92 0.93

Annualized return and volatility

IWV
Annualized Return 0.0653
Annualized Std Dev 0.1855
Annualized Sharpe (Rf=0%) 0.3520

Row

Daily Return Statistics

IWV
Observations 5010.0000
NAs 104.0000
Minimum -0.0907
Quartile 1 -0.0043
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0056
Maximum 0.1043
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0117
Skewness -0.1182
Kurtosis 7.8709

Downside Risk

IWV
Semi Deviation 0.0084
Gain Deviation 0.0084
Loss Deviation 0.0092
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0083
Downside Deviation (0%) 0.0083
Maximum Drawdown 0.5561
Historical VaR (95%) -0.0183
Historical ES (95%) -0.0283
Modified VaR (95%) -0.0174
Modified ES (95%) -0.0283
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2012-03-16 -0.5561 1136 364 772
2000-09-05 2002-10-09 2006-05-05 -0.4756 1449 534 915
2018-09-21 2018-12-24 2019-04-23 -0.2014 148 66 82
2015-06-24 2016-02-11 2016-06-08 -0.1516 246 164 82
2012-03-27 2012-06-04 2012-08-16 -0.0997 102 49 53

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IWV
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 0.3 0.0 0.3 0.1 0.0 -0.3 0.2 0 0.6
2001 -0.3 0.4 0.0 1.3 0.6 0.0 0.0 0.0 -0.3 2.0 0.0 0 3.7
2002 -0.3 2.3 0.1 0.9 0.0 -1.9 -2.2 0.0 4.1 1.8 0.0 0 4.6
2003 0.0 0.0 1.0 0.0 0.0 1.0 -1.1 0.0 2.1 0.0 1.1 0 4.1
2004 0.0 1.0 0.6 0.0 0.1 -1.2 0.0 0.3 1.3 0.2 1.4 0 3.8
2005 0.9 0.5 -0.6 0.0 0.8 0.6 0.2 0.1 0.0 -0.1 1.2 0 3.7
2006 0.5 0.9 0.0 -0.7 1.2 0.0 -0.7 0.4 0.0 -0.9 -0.1 0 0.6
2007 0.6 -0.4 0.0 0.2 0.3 0.0 0.3 0.0 1.3 -2.7 0.0 0 -0.4
2008 1.6 0.0 3.4 1.7 0.0 0.3 -0.4 0.0 -1.7 0.0 -9.1 0 -4.5
2009 0.0 0.0 2.0 0.5 2.7 0.4 0.0 -2.2 -2.6 0.0 1.1 0 1.8
2010 1.6 1.2 0.9 0.0 -2.0 -0.4 0.0 3.0 0.5 -0.1 2.3 0 7.1
2011 1.7 -1.7 0.6 0.0 -2.3 1.5 -0.2 -1.2 0.0 -2.8 -0.1 0 -4.7
2012 1.0 0.7 0.0 0.5 -2.7 0.0 -0.4 0.0 0.3 1.2 0.0 0 0.5
2013 1.0 0.4 -0.6 -1.0 0.0 0.2 1.2 0.0 0.8 0.2 0.0 0 2.2
2014 0.0 0.0 0.9 0.0 0.0 0.7 -0.2 0.0 -1.3 0.0 -0.8 0 -0.8
2015 0.0 0.0 -0.2 1.0 0.2 0.7 0.0 -3.0 0.2 0.0 0.9 0 -0.2
2016 0.0 2.3 0.6 0.0 0.2 0.2 -0.1 0.0 0.0 -0.7 -0.5 0 2.0
2017 0.0 1.4 0.0 0.2 0.9 0.0 0.2 0.3 0.0 0.1 -0.2 0 3.0
2018 0.0 -1.2 0.0 0.3 1.0 0.0 -0.1 0.0 0.2 1.1 0.0 0 1.2
2019 0.2 0.7 1.2 -0.7 0.0 0.8 -0.9 0.0 -1.3 1.0 0.0 0 1.0

Row

Rolling Performance Chart

Snail Trail Chart